Add Base Currency column to scenario and stress test reports#335
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mattmenefee wants to merge 2 commits intoOpenSourceRisk:masterfrom
Open
Add Base Currency column to scenario and stress test reports#335mattmenefee wants to merge 2 commits intoOpenSourceRisk:masterfrom
mattmenefee wants to merge 2 commits intoOpenSourceRisk:masterfrom
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Summary
baseCurrencyparameter toReportWriter::writeScenarioReport()and update all three callers (pricinganalytic,crifanalytic,xvaenginecg) to pass the simulation base currencybaseCcyvariable inrunStressTest()comparison_config.jsonwith "Base Currency" column settings for both scenario and stress test reports (null tolerances for exact string matching)Motivation
Scenario and stress test reports previously had no indication of which currency the NPV values were denominated in. In multi-currency portfolios, this made it difficult to interpret the Base NPV, Scenario NPV, and Sensitivity columns without cross-referencing the simulation configuration.
Test plan
orea-test-suitepasses (includes newtestWriteScenarioReportBaseCurrency)ctestsuite passes